What happens if I chose CPU, but with a GPU specified in settings?
The option in the preferences controls which OpenCL/CUDA compute device will be used when the GPU option is chosen in Properties > Render.



Why this is arranged so confusingly is due to history. Originally cycles only had CUDA support, and so was a natural assumption that the "compute device" chosen in the preferences was a GPU (or GPUs). Since OpenCL can work on CPUs, it's possible you could end up using OpenCL on your CPU when GPU is selected in Properties > Render.